My favorite three in no particular order:
Link's Awakening
Ocarina of Time
Twilight Princess

The bottom of the list...also in no particular order:
Four Swords Series
Phantom Hourglass
Spirit Tracks

The DS games were fun enough, but I found them very hollow and lifeless. What I have played of the Four Swords was repetitive and unrewarding...perhaps it would be different with other people though?
The rest of the games just fill in the middle at random...these types of lists fluctuate with my mood sometimes.

@CanisWolfred That's fair, it is an extremely confusing overworld, I remember moving nowhere for days at a time when I was younger because I couldn't figure out how to traverse the overworld. I eventually basically memorized it because I spent so much time playing it, so that is no longer an issue for me, but I can see why you'd have a problem with it.

...wow, you're the first person who hasn't insulted me over that, and the first person I've met who also acknowledged it as a legitimate issue...

Eh, ranking all of them would just make my head hurt, and I'm sick of headaches, lol. Top 5.
1. A Link to the Past - Waaaaay too many memories to even take it off my list, my first Zelda game I think. Here's hoping its sequel will be just as awesome. (not likely, but whatever, lol)
2. Ocarina of Time - Even though Majora's Mask was fun, OoT was my second Zelda game...had some good memories of the game...and, erm, some bad ones. (ugh, redeads...and the Peahats freaked me out when I was a kid. xD)
3. Skyward Sword - It did what I was expecting twilight Princess to do...1:1 motion controls. Also, awesome music, lol
4. Link's Awakening - Can't remember much back then, only thing I do remember that I loved was the Color Dungeon in the DX version.
5. Wind Waker/Majora's Mask - Honestly I didn't know what to put here...so, WW and MM both take up #5, lol.

Phantom Hourglass was my first Zelda game and is the only Zelda game I've completed multiple times. For me, Zelda games are a struggle. I didn't think I would have as much trouble with the series' puzzles with my experience with Metroid, but I've come to realize that the two are on different levels. Phantom Hourglass, of the Zelda games I've played, seems to have the easiest puzzles to get by, being closer to Metroid in that regard. Beyond that, I love the sense of control over Link's items that I'm given on the DS touch screen. I always miss not being able to make a Boomerang route when I fire up a non-DS Zelda game, or not having my sword attacks based around easy, quick motions. Speaking of items, Phantom Hourglass has the most boring item that happens to be one of the most rewarding: a shovel. I love the item simply for making the world feel filled with buried Rupees, and it's always a great find to me to get that higher value Rupee. I think the strongest impression Phantom Hourglass left on me though is with its use of the DS's two screens for a handful of its epic boss encounters. One of them, Eox, is my favorite boss of the series.

@CanisWolfred That's fair, it is an extremely confusing overworld, I remember moving nowhere for days at a time when I was younger because I couldn't figure out how to traverse the overworld. I eventually basically memorized it because I spent so much time playing it, so that is no longer an issue for me, but I can see why you'd have a problem with it.

...wow, you're the first person who hasn't insulted me over that, and the first person I've met who also acknowledged it as a legitimate issue...

The overworld was difficult, but it wasn't as bad as getting the boss key for the second dungeon, I had no idea what a stalfos or a pols voice was (which was the hint in the dungeon), so I had no idea I had to kill them in a specific order, and I hadn't access to the internet either so that wouldn't have helped.

Of the 5(6) Zelda's I've finished
1. Ocarina of Time 3D (with the addition of gyroscopic aiming, touch-pad inventory, repeatable boss fights, master quest and updated visuals, they took a near perfect game and made it better).
2. Oracle games (probably enjoy seasons a bit more than ages).
3. TP.
4. Link's Awakening (my first Zelda game).
5. Majora's Mask.

Still have a heap to complete before I can make a definitive list.

EDIT: Missing out on an upgraded sword because you didn't visit the seashell house every 5 shells was quite a pain too

WARNING: Here is an opinion you probaly never heard.
1.Wind Waker
2.Majoras Mask
3.Skyward Sword! Loved it, but some things could've been done better.
4.Ocarina Of Time/Minish Cap (sorry, but they're both so damn fun!) I haven't beaten minish cap yet, I just need to do the final boss which is so hard IMO
5Phantom Hourglass (I loved it when I finally got this game, it had awesome puzzles)
6.LOZ (My 3rd fav top down zelda game, I haven't beat it yet but most things don't change later on the game just the difficulity)
7.Spirit Tracks. This game just isnt as fun as PH, Still cool though.
8.A link to the past. I haven't gotten that far in the game but IMO I don't really like it... sorry.

Yes I just said that SS is bettter than OOT. I liked the music, art style, how difficult it was and ofcourse the bosses more.

I am gonna buy Between Worlds even though it's prequel wasn't my thing. It does seem promising and I'm dying for a LOZ game that I didn't play! Twilight Princess I haven't beat yet nor played in a long time so I need to boot it up again. I like what I've seen so far. The wolf idea is epic IMO

And I hate Zelda 2. No offence. 1st zelda is a master piece and I love it. Then they changed it to sidescrolling... ok not so good.. then they made it too damn hard.. (Death Mountain)

Yes I just said that SS is bettter than OOT. I liked the music, art style, how difficult it was and ofcourse the bosses more.

I thought Skyward Sword was fantastic....until I left Skyloft. After that it was a magic game of "How may times can we recycle this content?" combined with "Overworld even emptier than Windwaker." Still a good game, even by Zelda standards, but it could have been the best entry in the series with some adjustments.

I never liked Skyward Sword, Ocarina of Time, Majora's Mask, Spirit Tracks, Phantom Hourglass, and the original Zelda at all.
Four Swords Anniversary Edition was an entirely new kind of bad game for me, and it's still the worst part of the series by far to me.

And I haven't played A Link between Worlds and Four Swords/Four Swords Adventure - which I'm not planning to change, anyway.